Parametric and nonparametric empirical regression models: case study of copper bromide laser generation.
Parametric inference for mixed models defined by stochastic differential equations
Non-linear mixed models defined by stochastic differential equations (SDEs) are considered: the parameters of the diffusion process are random variables and vary among the individuals. A maximum likelihood estimation method based on the Stochastic Approximation EM algorithm, is proposed. This estimation method uses the Euler-Maruyama approximation of the diffusion, achieved using latent auxiliary data introduced to complete the diffusion process between each pair of measurement instants. A tuned...
Pattern-mixture models
Performance of Cumulative Sum Schemes for Monitoring Low Count-Level Processes.
Performance of hedging strategies in interval models
For a proper assessment of risks associated with the trading of derivatives, the performance of hedging strategies should be evaluated not only in the context of the idealized model that has served as the basis of strategy development, but also in the context of other models. In this paper we consider the class of so-called interval models as a possible testing ground. In the context of such models the fair price of a derivative contract is not uniquely determined and we characterize the interval...
Pläne für messende Prüfung bei Berücksichtigung von Â?Vorkenntnissen" über die Verteilung der Mittelwerte.
Plans d'échantillonnage progressifs par attributs. Application aux plans normalisés MIL-STD 105 D
Plans d'échantillonnage progressifs par mesures. Application aux plans normalisés
Play-the-winner rule and adaptive designs of clinical trials.
Polynomial chaos in evaluating failure probability: A comparative study
Recent developments in the field of stochastic mechanics and particularly regarding the stochastic finite element method allow to model uncertain behaviours for more complex engineering structures. In reliability analysis, polynomial chaos expansion is a useful tool because it helps to avoid thousands of time-consuming finite element model simulations for structures with uncertain parameters. The aim of this paper is to review and compare available techniques for both the construction of polynomial...
Population genetics models for the statistics of DNA samples under different demographic scenarios - Maximum likelihood versus approximate methods
The paper reviews the basic mathematical methodology of modeling neutral genetic evolution, including the statistics of the Fisher-Wright process, models of mutation and the coalescence method under various demographic scenarios. The basic approach is the use of maximum likelihood techniques. However, due to computational problems, intuitive or approximate methods are also of great importance.
POT-based estimation of the renewal function of interoccurrence times of heavy-tailed risks.
Pour un schéma de lecture des modèles économiques complexes application à Mini-DMS
Použití matematické statistiky v hydrologii
Poznámka k složitému počtu úrokovému
Prediction of time series by statistical learning: general losses and fast rates
We establish rates of convergences in statistical learning for time series forecasting. Using the PAC-Bayesian approach, slow rates of convergence √ d/n for the Gibbs estimator under the absolute loss were given in a previous work [7], where n is the sample size and d the dimension of the set of predictors. Under the same weak dependence conditions, we extend this result to any convex Lipschitz loss function. We also identify a condition on the parameter space that ensures similar rates for the...
Premium evaluation for different loss distributions using utility theory
For any insurance contract to be mutually advantageous to the insurer and the insured, premium setting is an important task for an actuary. The maximum premium ( that an insured is willing to pay can be determined using utility theory. The main focus of this paper is to determine by considering different forms of the utility function. The loss random variable is assumed to follow different Statistical distributions viz Gamma, Beta, Exponential, Pareto, Weibull, Lognormal and Burr. The theoretical...
Pre-symptomatic Influenza Transmission, Surveillance, and School Closings: Implications for Novel Influenza A (H1N1)
Early studies of the novel swine-origin 2009 influenza A (H1N1) epidemic indicate clinical attack rates in children much higher than in adults. Non-medical interventions such as school closings are constrained by their large socio-economic costs. Here we develop a mathematical model to ascertain the roles of pre-symptomatic influenza transmission as well as symptoms surveillance of children to assess the utility of school closures. Our model analysis...
Pricing bonds and CDS in the model with rating migration induced by a Cox process
We investigate the properties of a rating migration process assuming that it is given by subordination of a discrete time Markov chain and a Cox process. The problem of pricing of defaultable bonds with fractional recovery of par value with rating migration and credit default swaps is considered. As an example of applications of our results, we give an explicit solution to the pricing problem in a model with short rate and intensity processes given by the solution of a two-dimensional Ornstein-Uhlenbeck...
Pricing equity-indexed annuities under stochastic interest rates using copulas.